Article ID Journal Published Year Pages File Type
10481690 Physica A: Statistical Mechanics and its Applications 2013 18 Pages PDF
Abstract
This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
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